Do you use an application launcher / configuration manager like Lutris to do this? Or do you mean directly through steam? There's a steam game that I play often that tends to work the most frequently with proton hotfix for reasons unknown to me.
In some cases you might have to change which exe file it runs, if you initially run a setup.exe which creates the real exe file you'd want to launch inside the c drive environment folder
Very handy on the steam deck for some programs